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Details about Stéphane Loisel

E-mail:
Homepage:http://isfaserveur.univ-lyon1.fr/~stephane.loisel/
Workplace:Institut de Science Financière et d'Assurances (École ISFA) (French School of Actuarial and Management Studies), Université Claude Bernard (Lyon 1) (Claude Bernanrd University of Lyon), (more information at EDIRC)

Access statistics for papers by Stéphane Loisel.

Last updated 2019-03-24. Update your information in the RePEc Author Service.

Short-id: plo60


Jump to Journal Articles

Working Papers

2019

  1. Partially Schur-constant models
    Post-Print, HAL
  2. Risque de longévité et surveillance de portefeuille
    Post-Print, HAL

2018

  1. A Quantum-Type Approach to Non-Life Insurance Risk Modelling
    Post-Print, HAL
    See also Journal Article in Risks (2018)
  2. Asset-Liability Management for Long-Term Insurance Business
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Post-Print, HAL (2018)
  3. Attitudes face au risque et face à l’analytics
    Post-Print, HAL
  4. ERM and Analytics
    Post-Print, HAL
  5. How to design longevity /mortality KRI’s from Cusum
    Post-Print, HAL
  6. Longevity risk and capital markets: The 2015–16 update
    Post-Print, HAL
    See also Journal Article in Insurance: Mathematics and Economics (2018)
  7. Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry
    Post-Print, HAL
    Also in PSE Working Papers, HAL (2015) Downloads View citations (6)
    Débats économiques et financiers, Banque de France (2015) Downloads View citations (8)

    See also Journal Article in The Geneva Papers on Risk and Insurance - Issues and Practice (2018)
  8. Markov Property in Discrete Schur-constant Models
    Post-Print, HAL
  9. Modélisation, surveillance et transfert du risque de longévité
    Post-Print, HAL
  10. Monitoring actuarial assumptions in life insurance
    Post-Print, HAL
    Also in Post-Print, HAL (2017)
  11. Mouvements des régiments sur le front durant toute la période de guerre: cartographie et choix stratégiques du haut commandement
    Post-Print, HAL
  12. Obfuscation and Honesty Experimental Evidence on Insurance Demand with Multiple Distribution Channels
    Working Papers, HAL Downloads
  13. On discrete Schur-constant vectors, with applications
    Post-Print, HAL
  14. On the reevaluation of the Solvency Capital Requirement after a large shock
    Post-Print, HAL
    Also in Post-Print, HAL (2018)
  15. Recent longevity transfer solutions
    Post-Print, HAL
  16. Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views
    Post-Print, HAL
    Also in Post-Print, HAL (2017)
    Post-Print, HAL (2017)
    Post-Print, HAL (2014)
    Post-Print, HAL (2018)
    Post-Print, HAL (2015)
    Post-Print, HAL (2017)
    Débats économiques et financiers, Banque de France (2017) Downloads View citations (2)
  17. Solutions to biometric, mortality and longevity risk
    Post-Print, HAL

2017

  1. Basis risk modelling: a co-integration based approach
    Post-Print, HAL Downloads
  2. Data analytics and innovations in insurance
    Post-Print, HAL
  3. Discrete Schur-Constant Models in Insurance
    Post-Print, HAL
  4. La captive, un outil d'Enterprise Risk Management toujours efficient sous Solvabilité II?
    Post-Print, HAL
  5. Le risque de longévité est-il assurable ?
    Post-Print, HAL
    See also Journal Article in Revue d'économie financière (2017)
  6. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    Post-Print, HAL Downloads View citations (3)
  7. Monitoring actuarial assumptions in insurance
    Post-Print, HAL
  8. On finite exchangeable sequences and their dependence
    Post-Print, HAL
  9. Quickest detection of change in actuarial assumptions
    Post-Print, HAL
  10. Short course on ERM
    Post-Print, HAL
  11. Strategies optimales de détection rapide de rupture pour une classe de processus ponctuels
    Post-Print, HAL

2016

  1. ERM for insurance companies
    Post-Print, HAL
  2. Ex-ante Model Validation and Back-Testing
    Post-Print, HAL
  3. Models and Behaviour of Stakeholders
    Post-Print, HAL
  4. Old-age provision: past, present, future
    Post-Print, HAL
  5. Online monitoring of actuarial assumptions
    Post-Print, HAL
    Also in Post-Print, HAL (2016)
  6. Online monitoring of longevity and actuarial assumptions
    Post-Print, HAL
    Also in Post-Print, HAL (2016)
  7. Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions
    Post-Print, HAL Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2016)
  8. Quickest detection of some changes in longevity patterns
    Post-Print, HAL
    Also in Post-Print, HAL (2014)
  9. Quickest detection strategy for changes in longevity patterns and longevity risk management
    Post-Print, HAL
  10. Several problems in ruin theory
    Post-Print, HAL
  11. Some mixing properties of conditionally independent processes
    Post-Print, HAL Downloads
  12. Vision conditionnelle du monde dans les stress tests et révision des hypothèses actuarielles
    Post-Print, HAL
  13. Wind Storm Risk Management
    Working Papers, HAL Downloads View citations (1)

2015

  1. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
    Post-Print, HAL Downloads
  2. Discrete Schur-constant models
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in Journal of Multivariate Analysis (2015)
  3. Do actuaries believe in longevity deceleration?
    Working Papers, HAL Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2018)
  4. ERM and Solvency II
    Post-Print, HAL
  5. Estimating the parameters of a seasonal Markov-modulated Poisson process
    Post-Print, HAL
  6. Index for predicting insurance claims from wind storms with an application in France
    Post-Print, HAL Downloads View citations (1)
  7. Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobile
    Post-Print, HAL Downloads
  8. Measuring mortality heterogeneity with multi-state models and interval-censored data
    Working Papers, HAL Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2017)
  9. Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate
    Working Papers, HAL Downloads
  10. On a quickest detection problem for longevity risk with two populations
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
  11. On some longevity modelling and monitoring issues
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
    Post-Print, HAL (2015)
    Post-Print, HAL (2015)
  12. On some robustness and some uncertainty issues in ruin theory
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
  13. Phase-type aging modeling for health dependent costs
    Post-Print, HAL Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2015)
  14. Some characteristics of an equity security next-year impairment
    Post-Print, HAL Downloads
    See also Journal Article in Review of Quantitative Finance and Accounting (2015)

2014

  1. A game-theoretic approach to non-life insurance markets
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
  2. A survey of some recent results on Risk Theory
    Post-Print, HAL Downloads
  3. Fast Change Detection on Proportional Two-Population Hazard Rates
    Post-Print, HAL
    Also in Post-Print, HAL (2014)
    Post-Print, HAL (2014)
    Post-Print, HAL (2014)
  4. Impairments of financial securities & News from LoLitA
    Post-Print, HAL
  5. Key Risk Indicators and quickest detection problems
    Post-Print, HAL
  6. Mesures de risque et theorie de la ruine
    Post-Print, HAL
  7. On Schur-constant models
    Post-Print, HAL
  8. Properties of a risk measure derived from the expected area in red
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2014)
  9. Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation
    Post-Print, HAL Downloads View citations (8)
  10. Ruin problems with worsening risks or with infinite mean claims
    Post-Print, HAL Downloads
  11. Ruin theory with correlated risks, or with worsening claims Bonus: Longevity meets ruin theory
    Post-Print, HAL
    Also in Post-Print, HAL (2014)
  12. Solvabilité
    Post-Print, HAL
  13. Théorie de la ruine
    Post-Print, HAL
  14. Théorie de la ruine multivariée
    Post-Print, HAL
    Also in Post-Print, HAL (2010)
  15. Understanding, modeling and managing longevity risk
    Post-Print, HAL

2013

  1. Competition among non-life insurers under solvency constraints: A game-theoretic approach
    Post-Print, HAL Downloads View citations (3)
    Also in Post-Print, HAL (2013) Downloads View citations (6)

    See also Journal Article in European Journal of Operational Research (2013)
  2. Convex extrema for nonincreasing discrete distributions: effects of convexity constraints
    Working Papers, HAL Downloads
  3. Impact of Climate Change on HeatWave Risk
    Post-Print, HAL Downloads
    See also Journal Article in Risks (2013)
  4. On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2013) Downloads View citations (3)

    See also Journal Article in Insurance: Mathematics and Economics (2013)
  5. On multiply monotone distributions, continuous or discrete, with applications
    Post-Print, HAL Downloads View citations (7)
  6. Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments
    Post-Print, HAL Downloads View citations (4)

2012

  1. Acceleration techniques of nested simulations in insurance
    Post-Print, HAL
  2. Dependence models in risk theory
    Post-Print, HAL
  3. From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
    Post-Print, HAL
    Also in Post-Print, HAL (2011) Downloads View citations (17)

    See also Journal Article in European Journal of Operational Research (2011)
  4. La capacité de réaction et les actions de gestion des dirigeants: nécessité et difficulté de les prendre en compte dans l'ORSA
    Post-Print, HAL Downloads
  5. ORSA et mesures de risque multi-périodiques
    Post-Print, HAL
  6. ORSA in Europe and in North America
    Post-Print, HAL
  7. On ruin for worsening claims
    Post-Print, HAL
  8. On ruin models with correlated risks
    Post-Print, HAL
  9. On ruin models with dependence
    Post-Print, HAL
  10. On ruin models with dependent risks
    Post-Print, HAL
    Also in Post-Print, HAL (2011)
  11. On some practical correlation issues in Enterprise Risk Management
    Post-Print, HAL
  12. On the domain of validity of the DeVylder-Goovaerts conjecture
    Post-Print, HAL
  13. Problématiques de théorie de la ruine en univers multivarié
    Post-Print, HAL
  14. Quelques problématiques de mathématiques appliquées à l'actuariat
    Post-Print, HAL
  15. Risques corrélés en théorie du risque
    Post-Print, HAL
  16. Ruin probabilities with correlated claims
    Post-Print, HAL
  17. Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean
    Post-Print, HAL
  18. Ruin theory with dependent risks
    Post-Print, HAL
  19. Théorie de la ruine et risques corrélés
    Post-Print, HAL
  20. Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges
    Post-Print, HAL Downloads View citations (24)
    Also in Post-Print, HAL (2010)
  21. Why ruin theory should be of interest for insurance practitioners and risk managers nowadays
    Post-Print, HAL Downloads View citations (5)

2011

  1. 7 lectures on Enterprise Risk Management
    Post-Print, HAL
  2. Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article in Applied Stochastic Models in Business and Industry (2011)
  3. Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis
    Post-Print, HAL
  4. Cours Bachelier sur le risque de longévité
    Post-Print, HAL
  5. Estimation of the parameters of a Markov-modulated loss process in insurance
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2013)
  6. Explicit ruin formulas for dependent risks
    Post-Print, HAL View citations (3)
  7. Explicit ruin formulas for models with dependence among risks
    Post-Print, HAL Downloads View citations (32)
    See also Journal Article in Insurance: Mathematics and Economics (2011)
  8. Explicit ruin probabilities with dependent risks
    Post-Print, HAL
  9. Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management
    Post-Print, HAL Downloads View citations (4)
  10. Méthodes d'accélération de la méthode des simulations dans les simulations
    Post-Print, HAL
  11. On finite-time ruin probabilities with reinsurance cycles influenced by large claims
    Post-Print, HAL Downloads
  12. On some risk models with dependence
    Post-Print, HAL
  13. On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula
    Post-Print, HAL Downloads View citations (7)
    See also Journal Article in ASTIN Bulletin (2011)
  14. Surrender risk and correlation crises
    Post-Print, HAL
  15. Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?
    Post-Print, HAL Downloads View citations (6)
  16. Théorie de la ruine en présence de risques corrélés
    Post-Print, HAL
  17. Understanding and managing longevity risk
    Post-Print, HAL
  18. Variable annuities and surrender risk
    Post-Print, HAL

2010

  1. Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
    Post-Print, HAL Downloads View citations (7)
  2. Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA
    Working Papers, HAL Downloads View citations (2)
  3. Dépendance stochastique en théorie du risque
    Post-Print, HAL
  4. Joint modeling of portfolio experienced and national mortality: A co-integration based approach
    Post-Print, HAL View citations (2)
  5. Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise
    Post-Print, HAL Downloads View citations (5)
  6. Solvabilité des compagnies d'assurance
    Post-Print, HAL
  7. Stationary-excess operator and convex stochastic orders
    Post-Print, HAL Downloads View citations (6)
    See also Journal Article in Insurance: Mathematics and Economics (2010)

2009

  1. A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins
    Working Papers, HAL Downloads View citations (1)
  2. Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings
    Post-Print, HAL
  3. Construction d'un algorithme d'accélération de la méthode des «simulations dans les simulations» pour le calcul du capital économique Solvabilité II
    Post-Print, HAL Downloads View citations (6)
  4. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Post-Print, HAL Downloads View citations (2)
    Also in Post-Print, HAL (2007)

    See also Journal Article in Insurance: Mathematics and Economics (2009)
  5. Correlation crises in risk theory, Solvency II and ERM
    Post-Print, HAL
  6. Correlation crises, model risk and ERM
    Post-Print, HAL
  7. Correlation crises, ruin probabilities and related issues in ERM and Solvency II
    Post-Print, HAL
  8. Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
    Post-Print, HAL Downloads View citations (9)
  9. Fonctions de pénalité en théorie du risque
    Post-Print, HAL
  10. Les risques et leur agrégation dans Solvabilité II et en ERM
    Post-Print, HAL
  11. On some path-dependent correlation models in risk theory
    Post-Print, HAL
  12. Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?
    Post-Print, HAL Downloads View citations (9)
  13. Risk aggregation in Solvency II: bridging the gap between standard formula and internal risk models
    Post-Print, HAL
  14. Ruin probabilities with Bühlmann credibility adjusted premiums
    Post-Print, HAL
  15. Sensitivity analysis and density estimation for finite-time ruin probabilities
    Post-Print, HAL Downloads View citations (2)
  16. Solvency II: description, timeline, and update on current discussions
    Post-Print, HAL
  17. Understanding, modeling and managing longevity risk: some new challenges
    Post-Print, HAL

2008

  1. Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts
    Post-Print, HAL
  2. Bootstrapped Finite-Time Ruin Probabilities with Partly Shifted Risk Processes
    Post-Print, HAL
  3. From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM
    Post-Print, HAL View citations (1)
  4. From Solvency II to ERM: tools, practical issues and research perspectives
    Post-Print, HAL
  5. Impact of correlation crises in risk theory
    Post-Print, HAL Downloads View citations (1)
  6. In the Core of Longevity Risk: Dependence in Stochastic Mortality Models and Cut-offs in Prices of Longevity Swaps
    Post-Print, HAL
  7. In the core of longevity risk: hidden dependence in stochastic mortality models and cut‐offs in prices of longevity swaps
    Post-Print, HAL
    Also in Post-Print, HAL (2007) View citations (1)
    Working Papers, HAL (2007) Downloads View citations (1)
  8. Inter-age correlation in stochastic mortality models
    Post-Print, HAL View citations (1)
  9. On Finite-Time Ruin Probabilities for Classical Risk Models
    Post-Print, HAL Downloads View citations (11)
  10. On a class of non-Gerber-Shiu, non-discounted penalty functions
    Post-Print, HAL
  11. On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level
    Post-Print, HAL Downloads View citations (1)
  12. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Post-Print, HAL Downloads View citations (6)
    See also Journal Article in Insurance: Mathematics and Economics (2008)
  13. Théorie de la ruine: introduction et exemples
    Post-Print, HAL
  14. Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle
    Post-Print, HAL

2007

  1. Analyse de la robustesse de la probabilité de ruine en temps fini, et marge de solvabilité pour risque d'estimation
    Post-Print, HAL
  2. Dépendance stochastique et mesures de risque
    Post-Print, HAL
  3. Repositioning Enterprise Risk Management
    Post-Print, HAL
  4. Ruin Theory with K Lines of Business
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2004)
  5. Sensitivity analysis and optimal reserve allocation in risk theory
    Post-Print, HAL
    Also in Post-Print, HAL (2006)
  6. Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks
    Post-Print, HAL Downloads View citations (2)

2006

  1. Differentiation of some functionals of risk processes and optimal reserve allocation
    Post-Print, HAL
    Also in Post-Print, HAL (2006)
    Post-Print, HAL (2005) View citations (6)
    Post-Print, HAL (2006)
  2. Problems and numerical methods in insurance and finance
    Post-Print, HAL
  3. Titrisation du risque de longévité
    Post-Print, HAL

2005

  1. Differentiation of functionals of risk processes and optimal reserve allocation
    Post-Print, HAL
    Also in Post-Print, HAL (2005)
  2. Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation
    Post-Print, HAL View citations (6)
  3. Differentiation of some functionals of risk processes
    Post-Print, HAL Downloads View citations (15)
  4. Différentiation de fonctionnelles de processus de risque et allocation de réserve optimale
    Post-Print, HAL
  5. On Solvency issues for French and Vietnamese insurers
    Post-Print, HAL
  6. On the sensitivity analysis of some risk measures
    Post-Print, HAL
  7. Problèmes liés à la prise en compte de l'effet de diversification dans le cadre de Solvabilité II
    Post-Print, HAL
  8. Ruine, dividendes et allocation de réserve optimale
    Post-Print, HAL
  9. Sensitivity analysis of the finite-time ruin probability and of some other risk measures
    Post-Print, HAL
  10. The win-first probability under interest force
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2005)
  11. Win-first probabilities and dividends with hazard rates
    Post-Print, HAL

2004

  1. Another look at the Picard-Lefèvre formula for finite-time ruin probabilities
    Post-Print, HAL View citations (5)
    See also Journal Article in Insurance: Mathematics and Economics (2004)

Journal Articles

2018

  1. A Quantum-Type Approach to Non-Life Insurance Risk Modelling
    Risks, 2018, 6, (3), 1-17 Downloads
    See also Working Paper (2018)
  2. Do actuaries believe in longevity deceleration?
    Insurance: Mathematics and Economics, 2018, 78, (C), 325-338 Downloads
    See also Working Paper (2015)
  3. Longevity risk and capital markets: The 2015–16 update
    Insurance: Mathematics and Economics, 2018, 78, (C), 157-173 Downloads
    See also Working Paper (2018)
  4. Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2018, 43, (3), 420-455 Downloads View citations (1)
    See also Working Paper (2018)

2017

  1. Le risque de longévité est-il assurable ?
    Revue d'économie financière, 2017, N° 126, (2), 107-122 Downloads
    See also Working Paper (2017)
  2. Measuring mortality heterogeneity with multi-state models and interval-censored data
    Insurance: Mathematics and Economics, 2017, 72, (C), 67-82 Downloads
    See also Working Paper (2015)

2016

  1. Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions
    Insurance: Mathematics and Economics, 2016, 68, (C), 61-72 Downloads
    See also Working Paper (2016)

2015

  1. Discrete Schur-constant models
    Journal of Multivariate Analysis, 2015, 140, (C), 343-362 Downloads View citations (5)
    See also Working Paper (2015)
  2. Phase-type aging modeling for health dependent costs
    Insurance: Mathematics and Economics, 2015, 62, (C), 173-183 Downloads View citations (1)
    See also Working Paper (2015)
  3. Some characteristics of an equity security next-year impairment
    Review of Quantitative Finance and Accounting, 2015, 45, (1), 111-135 Downloads
    See also Working Paper (2015)

2014

  1. Properties of a risk measure derived from the expected area in red
    Insurance: Mathematics and Economics, 2014, 55, (C), 191-199 Downloads View citations (3)
    See also Working Paper (2014)

2013

  1. Competition among non-life insurers under solvency constraints: A game-theoretic approach
    European Journal of Operational Research, 2013, 231, (3), 702-711 Downloads View citations (6)
    See also Working Paper (2013)
  2. Estimation of the parameters of a Markov-modulated loss process in insurance
    Insurance: Mathematics and Economics, 2013, 53, (2), 388-404 Downloads View citations (2)
    See also Working Paper (2011)
  3. Impact of Climate Change on Heat Wave Risk
    Risks, 2013, 1, (3), 1-16 Downloads
    See also Working Paper (2013)
  4. On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
    Insurance: Mathematics and Economics, 2013, 53, (3), 774-785 Downloads View citations (3)
    See also Working Paper (2013)

2011

  1. Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings
    Applied Stochastic Models in Business and Industry, 2011, 27, (5), 503-518 Downloads
    See also Working Paper (2011)
  2. Explicit ruin formulas for models with dependence among risks
    Insurance: Mathematics and Economics, 2011, 48, (2), 265-270 Downloads View citations (34)
    See also Working Paper (2011)
  3. From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital
    European Journal of Operational Research, 2011, 214, (2), 348-357 Downloads View citations (16)
    See also Working Paper (2012)
  4. On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula
    ASTIN Bulletin, 2011, 41, (1), 215-238 Downloads View citations (7)
    See also Working Paper (2011)

2010

  1. Stationary-excess operator and convex stochastic orders
    Insurance: Mathematics and Economics, 2010, 47, (1), 64-75 Downloads View citations (6)
    See also Working Paper (2010)

2009

  1. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Insurance: Mathematics and Economics, 2009, 45, (3), 374-381 Downloads View citations (1)
    See also Working Paper (2009)

2008

  1. Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
    Insurance: Mathematics and Economics, 2008, 43, (3), 412-421 Downloads View citations (6)
  2. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Insurance: Mathematics and Economics, 2008, 42, (2), 746-762 Downloads View citations (5)
    See also Working Paper (2008)

2005

  1. The win-first probability under interest force
    Insurance: Mathematics and Economics, 2005, 37, (3), 421-442 Downloads View citations (1)
    See also Working Paper (2005)

2004

  1. Another look at the Picard-Lefevre formula for finite-time ruin probabilities
    Insurance: Mathematics and Economics, 2004, 35, (2), 187-203 Downloads View citations (19)
    See also Working Paper (2004)
 
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